Well, last week I watched a Sci-Fi Channels special on the Haunting in San Pedro California (1989-1990). This is the true documentary of Jackie Hernandez and the bizarre encounters that her and a team of investigators undergo during a 1 year period.
This case has been called the "Granddaddy" of all paranormal hauntings. It took place in not one but 3 seperate places and to this day continues, although to a lesser degree, to follow Jackie Hernandez.
Here are a couple links:
This is IMO, one of the most convincing documentaries I have ever seen.